Simulations of agent-based models have shown that the stylized facts (unit-root, fat tails and volatility clustering) of financial markets have a possible explanation in the interactions among agents. However, the complexity, originating from the presence of non-linearity and interactions, often...

The problems related to the application of multivariate GARCH models to a market with a large number of stocks are solved by restricting the form of the conditional covariance matrix. It contains one component describing the market and a second simple component to account for the remaining...

The problems related to the application of multivariate GARCH models to a market with a large number of stocks are solved by restricting the form of the conditional covariance matrix. It contains one component describing the market and a second simple component to account for the remaining...

We perform a careful spectral analysis of the correlation structures observed in real and financial returns for a large pool of long-lived US corporations, and find that financial returns are characterized by strong collective fluctuations that are absent from real returns. Once the excessive...

Simulations of agent-based models have shown that the stylized facts (unit-root, fat tails and volatility clustering) of financial markets have a possible explanation in the interactions among agents. However, the complexity, originating from the presence of non-linearity and interactions, often...

Simulations of agent-based models have shown that the stylized facts (unit-root, fat tails and volatility clustering) of financial markets have a possible explanation in the interactions among agents. However, the complexity, originating from the presence of non-linearity and interactions, often...